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落后的感应和最优停时Lecture 16 - Backward Induction and Optimal Stopping Times |
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| 课程网址: | http://videolectures.net/yalemecon251f09_geanakoplos_lec16/ |
| 主讲教师: | John Geanakoplos |
| 开课单位: | 耶鲁大学 |
| 开课时间: | 2012-03-17 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | In the first part of the lecture we wrap up the previous discussion of implied default probabilities, showing how to calculate them quickly by using the same duality trick we used to compute forward interest rates, and showing how to interpret them as spreads in the forward rates. The main part of the lecture focuses on the powerful tool of backward induction, once used in the early 1900s by the mathematician Zermelo to prove the existence of an optimal strategy in chess. We explore its application in a series of optimal stopping problems, starting with examples quite distant from economics such as how to decide when it is time to stop dating and get married. In each case we find that the option to continue is surprisingly valuable. |
| 关 键 词: | 违约机率; 对偶性技巧; 远期利率价差; 最优策略 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2020-09-26：yumf |
| 阅读次数: | 47 |